The Millwall assistant manager, Joe Gallen, was delighted after a Darius Henderson hat-trick inspired the Londoners to only their second league win of the season against Sven-Goran Eriksson's expensively assembled Leicester City.

The visitors led 2-0 at half-time thanks to Henderson – the first from a penalty – and a second-half header from the same player put the result beyond doubt.

Gallen said: "I don't know if anyone expected us to win here 3-0. We thought if we got an early goal we might make life difficult for Leicester. We have been improving in recent games but you would still have to call this a coupon-busting result."

Millwall took a surprise lead against the run of play on 36 minutes when Henderson scored from the spot after Sol Bamba had brought down Brian Howard inside the penalty area with a clumsy tackle. The Lions scored a second in first-half stoppage time when Lee Peltier failed to cut out a Jay Simpson cross to allow an unmarked Henderson to drive home at the far post.

Stunned by the reversal, Eriksson sought to give his side more pace and width at half-time by replacing Jermaine Beckford and Yuki Abe with Lloyd Dyer and Darius Vassell. But the closest they went to scoring was on 53 minutes when Michael Johnson crossed for Peltier to crash a shot against the bar.

Henderson grabbed his third midway through the half when he exploited poor defending to head home a Liam Feeney corner. Gallen hailed the striker's recent return from a month out with an injured calf as the key to the Lions' form. "When we didn't have him we missed his experience and ability to hold up the ball. He is a key player for us," he said.

Eriksson described himself as "angry and disappointed" with the result. "Our first-half performance was not good enough," the Swede said. "We looked like a team who were tired, flat and with no ideas. We were moving the ball around OK but we didn't really hurt them. We got better in the second half and played more of the game in the final third of the pitch, but we could never get a cross right or get into the box. I am angry and frustrated. We never looked like scoring.

"Perhaps we were tired. We have had three games in seven days, which doesn't leave us much time to recover. I hope it was tiredness because if it wasn't I will be very worried."